Mist may be a worry on the borders of Shropshire (3,4)
I believe the answer is:
sea fret
'mist' is the definition.
(I have seen 'Coastal mist ' mean 'sea-fret' so perhaps 'mist' could also mean 'sea-fret')
'a worry on the borders of shropshire' is the wordplay.
'worry' becomes 'fret' (fretting is a kind of worrying).
'on' means one lot of letters go next to another.
'the borders of' says to hollow out the word (remove centre letters).
'shropshire' with its centre removed is 'se'.
'a'+'fret'='afret'
'afret' put after 'se' is 'SEA-FRET'.
'may be' is the link.
(Other definitions for sea fret that I've seen before include "Mist coming inland at the coast" , "Threat to visibility" , "North Sea haar, for instance" , "Coastal mist" , "coastal haze" .)